Monday, February 7, 2011

When SPX and Bond Rates Both Hit New Highs

The fact that the 10-year bond rates hit new highs Friday along with the SPX is notable. The study below last appeared in the 12/9/10 subscriber letter. Stats are current.

Generally it seems that higher interest rates have often made bonds an attractive investment. This may lead people to forsake stocks in favor of lower risk returns with improved yield. Implications of this study appear to be longer-term in nature than we usually see. We are still not 50 days out from the 12/8/10 occurrence, but that one appears unlikely to finish in the red. Over the last two months more bullish forces have had their way. In last night's letter I showed how this edge has been consistent since the late 60s / early 70s. I view this occurence as an intermediate-term warning sign.

Purpose

In this blog I will be examining market action and quantifying my findings. Using sentiment, breadth, price and volume indicators - both standard and customized - I will try and uncover short-term edges which could be taken advantage of by market participants. I will frequently add opinion to these studies and may sometimes post opinions without quantifiable research behind them.

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All content on this site is provided for informational purposes only. It is NOT a recommendation or advice to buy or sell any securities. I may hold positions for myself or clients in the securities or industries mentioned here. There is a very high degree of risk involved in trading securities. Your use of any information on this site is entirely at your own risk.

About Me

I have traded professionally since 2001. From January 2003 through February 2007 my bi-weekly column "Rob Hanna's Putting It All Together" appeared on TradingMarkets.com. I have been conducting quantitative research and designing trading systems - mostly focused on short-term edges since 2004.